oFRNctm2_Price( ) Example

Description

Consider a Floating Rate Note with a valuation date of 1 July 2003, a settlement date of 3 July 2003, an effective date of 1 March 2003, a first coupon date of 1 May 2003, and a maturity date of 1 May 2008. The FRN, which has semi-annual resets and annual coupons, is trading at a discount margin of 15 basis points. The FRN has an ex-coupon period of 5 business days, while cash flows and rate resets that fall on a business day are adjusted to the following day. The accrual basis is actual/360 and the rate reset cycle is computed backwards from the maturity date.